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Query on Seasonal Arima for forecasting for next 4 periods

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New Contributor
Posts: 2

Query on Seasonal Arima for forecasting for next 4 periods

While I run the codes for seasonal arima, i do get the output but with errors showing estimates may not have converged. how to go about it...when the graph of the actual data is showing seasonality.

Codes and output is mentioned below for further clarity:

proc arima data= pot;

identify var= price(1) nlag=15;

estimate p=(1)(12) q=(1)(12);

forecast lead=4 interval=month out=sar201;

run;

Error:

Warning:The model defined by the new estimates is unstable. The iteration process has been terminated.
Warning:Estimates may not have converged.
SAS Employee
Posts: 416

Re: Query on Seasonal Arima for forecasting for next 4 periods

Hello -

Shared by Technical Support:

"This warning typically indicates that one or more of the model parameter estimates is approaching the invertibility or stationarity boundary. You may want to look at

your table of parameter estimates to see if any of them are approaching 1 in absolute value.  If they are, then that is an indication of model misspecification. If you have an AR parameter that is nearly 1, then that may be an indication that you need to difference your data.  If you have an MA parameter that is nearly 1, then you may have over-differenced your data.

If you think that your model is correctly specified, then you can try adding the NOSTABLE option to the ESTIMATE statement. This allows the procedure's optimization algorithm to iterate outside of the stationarity and invertibility region. In some cases, the final parameter estimates will satisfy the stationarity and invertibility conditions.
In this case, you may be able to use the model for forecasting.  However, if the NOSTABLE option is used and the final estimates fall outside the stationarity and invertibility region, then the forecasts from the resulting model could become explosive.  Some information about this topic is available at the following URL:

http://support.sas.com/documentation/cdl/en/etsug/63348/HTML/default/viewer.htm#etsug_arima_sect039....http://support.sas.com/documentation/cdl/en/etsug/68148/HTML/default/viewer.htm#etsug_arima_details2..."

Thanks,

Udo

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